India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	13.0310	5.18***
αARCH	0.2523	0.78
βGARCH	0.2385	0.83
νDF	22.4896	0.09

Parameter	Value	t-statistic
ω const Unconditional variance weight	13.0310	5.18***
α ARCH Response to squared shocks	0.2523	0.78
β GARCH Volatility persistence	0.2385	0.83
ν DF Student-t tail thickness	22.4896	0.09

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Victory Electric Vehicles International Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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